Performance 2021
First quarter 2021
The results for the first quarter of 2021 are negative. The yield of Class A for the quarter stands at -19.08% with a volatility of 3.09% during the same period (risk exposure).
Despite the further decline in the quarter, the level of risk exposure remains consistently low.
The market behavior was abnormal throughout the past quarter. As our systems operate based on historical data, we encountered statistical anomalies across all markets traded by the fund. For example, bond markets experienced their worst quarter in four decades, with the US 10-year borrowing rate almost doubling in three months (+87%). A significant portion of the losses can be attributed to the surge in bond markets. Our systems incurred substantial losses during the first month of 2021.
The strong recovery of the US economy is expected to lead to a normalization of the financial markets in the second quarter of 2021, leaving behind the erratic movements that have been particularly challenging for us. Our new portfolios of strategies for this quarter have reduced exposure to bond strategies, as our systems have drawn conclusions from the previous quarter.
Our research efforts continue to refine our market risk indicators. Exploratory research has been undertaken to explore potential opportunities in the European market, but as of now, they have not been convincing.
Second quarter 2021
The results for the second quarter of 2021 are in line with our expectations. The yield of Class A for the quarter stands at +7.13% with a volatility of 2.73% during the same period (risk exposure).
As mentioned in our latest quarterly report, the market normalization during the second quarter allowed our strategies to take advantage of all the opportunities presented in the market, thereby offsetting some of the losses experienced earlier this year.
Our level of risk exposure (2.73%) remains consistently low, which is advantageous in a highly volatile market environment where trading sessions can experience significant fluctuations due to concerns arising from new health restrictions.
Third quarter 2021
The results for the third quarter of 2021 are negative. The yield of Class A for the quarter stands at -13.94% with a volatility of 3.42% during the same period (risk exposure, which remains constant).
As we mentioned in our quarterly commentary covering the period from January to March 2021, the market behavior is abnormal.
The current situation in the markets is exceptional, both in terms of its effects and the future consequences. We are facing a triple threat:
Generalized inflationary pressures (2-3% in Europe, 4% in the United States).
Disruption in the global supply chain, with certain essential components (such as microprocessors) becoming difficult to produce, leading to delays in industrial deliveries.
Global energy crisis, with prices of certain energy commodities multiplied by 5.
In the face of this confirmed abnormality, we have made the decision to reduce the fund’s exposure to the markets until the end of this year in order to reassess the situation. Our systems operate based on historical data, which, although covering almost fifteen years, do not include an equivalent period. It is evident that the current abnormal market situation necessitates this reduction in our exposures to protect the fund’s capital.
These three threats are the ingredients for an impending major crisis. During the pandemic, central banks were able to intervene, but now, with inflation becoming persistent rather than temporary, they are compelled to act by raising interest rates, as announced by the Federal Reserve (which will likely prompt other central banks to make similar decisions).
Through our anticipation of the normalization of US monetary policy (the end of negative interest rates in practice), our strategies will perform again.
Fourth quarter 2021
The results for the fourth quarter of 2021 are stable. The yield of Class A for the quarter stands at –0.50% with a volatility of 3.95% during the same period (risk exposure).
As we mentioned in our quarterly commentary covering the period from July to September 2021, we reduced our market exposure for the last quarter of the year.
Our previous analyses are being confirmed:
The Federal Reserve is expected to raise interest rates four times in 2022 due to increased inflation in the United States.
The disruption in the global supply chain is intensifying.
The cost of energy commodities is reaching new records.
We now have more extensive data for these periods, allowing us to implement new strategy selections and market filters.
We remain cautious in the early stages of 2022, which may be marked by a decline in certain stock indices, particularly due to the anticipated rise in interest rates.
We extend our best wishes for a prosperous year in 2022.
